Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0033 |
| Annualized Std Dev | 0.2645 |
| Annualized Sharpe (Rf=0%) | -0.0125 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 4420.0000 |
| NAs | 1.0000 |
| Minimum | -0.3414 |
| Quartile 1 | -0.0040 |
| Median | 0.0005 |
| Arithmetic Mean | 0.0001 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0048 |
| Maximum | 0.4523 |
| SE Mean | 0.0003 |
| LCL Mean (0.95) | -0.0004 |
| UCL Mean (0.95) | 0.0006 |
| Variance | 0.0003 |
| Stdev | 0.0167 |
| Skewness | 2.4672 |
| Kurtosis | 186.6785 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0116 |
| Gain Deviation | 0.0150 |
| Loss Deviation | 0.0150 |
| Downside Deviation (MAR=210%) | 0.0155 |
| Downside Deviation (Rf=0%) | 0.0116 |
| Downside Deviation (0%) | 0.0116 |
| Maximum Drawdown | 0.8305 |
| Historical VaR (95%) | -0.0160 |
| Historical ES (95%) | -0.0350 |
| Modified VaR (95%) | NA |
| Modified ES (95%) | -0.8047 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2004-03-16 | 2008-10-10 | NA | -0.8305 | 4284 | 1153 | NA |
| 2004-01-20 | 2004-01-27 | 2004-03-15 | -0.0321 | 39 | 6 | 33 |
| 2003-11-18 | 2003-12-02 | 2003-12-31 | -0.0296 | 30 | 10 | 20 |
| 2004-01-02 | 2004-01-02 | 2004-01-15 | -0.0174 | 10 | 1 | 9 |
| 2003-09-23 | 2003-10-09 | 2003-10-15 | -0.0079 | 17 | 13 | 4 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2003 | NA | NA | NA | NA | NA | NA | NA | 0 | 0 | 0.5 | -0.6 | 0.8 | 0.7 |
| 2004 | -0.7 | 0.2 | 0.8 | 0.2 | -0.4 | 3.1 | 0.3 | 1.1 | 0 | 0.1 | 0.9 | 0.4 | 6.2 |
| 2005 | 0.5 | 0.7 | 0.8 | 0.9 | 0.1 | 0.5 | 0 | -0.6 | -0.4 | 1.3 | 0.3 | -0.8 | 3.1 |
| 2006 | 0 | 0.3 | 0 | -0.1 | 0.2 | 0.5 | 0.5 | 0.3 | 0.1 | 0.9 | -0.5 | 0 | 2.2 |
| 2007 | 0.6 | 0.1 | 0 | 0 | 0.7 | 0.9 | -0.6 | 1.1 | 1 | -1.4 | 1.9 | 1.1 | 5.3 |
| 2008 | 0.2 | 0.1 | 0.6 | -0.4 | -0.3 | -3.1 | 0.5 | 0.1 | 2.1 | 4.8 | -3.8 | 2.5 | 3.1 |
| 2009 | 0.5 | -3.2 | 1.8 | 1.4 | 4 | 0.6 | 1.2 | 0 | -0.1 | -3.1 | 1.2 | 0.1 | 4.3 |
| 2010 | 0.8 | 2.7 | 1.7 | 0.3 | -0.7 | -2 | 0.1 | 0.6 | -0.4 | 0.6 | -0.3 | -0.1 | 3.1 |
| 2011 | 0.7 | -0.4 | -0.7 | 0.7 | -1.6 | -0.3 | 3.3 | -0.3 | -2.2 | -0.4 | -0.6 | 1.1 | -0.7 |
| 2012 | 0 | -0.1 | 0.3 | 0.3 | -0.9 | 0.4 | 1.5 | 0.3 | 0.7 | 0.9 | -0.4 | 1.6 | 4.6 |
| 2013 | -0.8 | -0.1 | -0.3 | 0 | -1.7 | 0.1 | -0.7 | -0.3 | 0.5 | -0.2 | 0.7 | 0.9 | -1.8 |
| 2014 | 0.3 | -0.1 | 1.2 | 0.3 | -0.1 | 0.2 | -1.1 | 0.4 | -0.5 | 0.2 | -0.9 | -2.1 | -2.1 |
| 2015 | -0.6 | -0.2 | -0.5 | 0.7 | 0.1 | 1.3 | -0.1 | -0.5 | -0.6 | 0.5 | 0.3 | -0.2 | 0.2 |
| 2016 | 2 | -0.2 | 0.1 | -0.2 | 0.4 | -0.3 | 0.3 | 0.3 | 0.6 | -2.3 | -1.8 | 0.6 | -0.5 |
| 2017 | 0.4 | -0.1 | 0.9 | 0 | 0.6 | 0.6 | 0.4 | 0.2 | 0.5 | 0.7 | 0.3 | 1.3 | 5.9 |
| 2018 | 1.1 | 0 | 1.7 | 0.1 | 0.2 | 1 | 0.1 | -0.5 | 0.6 | 0.7 | -0.1 | 1.7 | 6.8 |
| 2019 | 0.5 | 0.9 | 0.7 | 0.7 | -0.1 | 0.5 | 1.2 | -0.5 | 1.2 | 0.6 | -0.4 | 0.5 | 6 |
| 2020 | 0.7 | -4.4 | -5.6 | -1.2 | 1.8 | 1.9 | 0.1 | 0.8 | 0.5 | -0.8 | 1.1 | 0.3 | -5 |
| 2021 | 0.5 | 0.5 | 0.6 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 1.6 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2003-08-27 25 SPY 100. 3.00e-4 -0.0031 0.0074 0.0495 0.0635 -0.335 NA <NA> NA NA NA
2 2003-08-28 25.0 SPY 101. 6.20e-3 -0.0001 0.0161 0.0393 0.094 -0.330 NA <NA> NA NA NA
3 2003-08-29 25 SPY 101. 6.70e-3 0.0167 0.0206 0.042 0.101 -0.328 NA <NA> NA NA NA
4 2003-09-02 25.0 SPY 103. 1.34e-2 0.0287 0.0435 0.0517 0.120 -0.321 NA <NA> NA NA NA
5 2003-09-03 25.0 SPY 103. 5.40e-3 0.0325 0.0492 0.0424 0.171 -0.317 NA <NA> NA NA NA
6 2003-09-04 25 SPY 103. 5.00e-4 0.0327 0.0725 0.0377 0.155 -0.319 NA <NA> NA NA NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
